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| Identificativo | HickmanWollman02, |
| Tipo di record | |
| Autore/i | Hickman A ; Wollman J |
| Anno | 2002 |
| Titolo | An Evolutionary Leap in Credit Portfolio Risk Modeling |
| paper |
| Altre Informazioni | Erisk.com, New York, December 18th Web Download. |
| Keywords separare key1:key2 | |
| Abstract | Credit portfolio risk models are central to new and emerging bank regulation and sophisticated risk management techniques. However, existing models cannot comprehensively measure the risks of typical bank portfolios, and lack key functionality to support dynamic applications. This paper proposes a new credit
portfolio risk model rooted in the well-established framework of a systematic default rate factor and conditional loss distribution, and an efficient algorithm to evaluate the model in a matter of minutes for a typical bank portfolio. Simple extensions are provided for the model to accommodate recovery rate and exposure volatility correlated to systematic default rates, revaluation risk for credits maturing beyond the measurement period, and complex hedging instruments. |
| File documento allegato | |
| Documento del gruppo di ricerca | No |
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